Journal of Financial Economics Vol. 135 No. 1 2020
Shorting flows, public disclosure, and market efficiency
Abstract
Shorting flows remain a significant predictor of negative future stock returns during 2010–2015, when daily short-sale volume data are published in real time. This predictability decays slowly and lasts for a year. Long-term shorting flows are more informative than short-term shorting flows. Indeed, abnormal short-term shorting flows do not predict future returns or anticipate bad news. We find that short sellers exploit prominent anomalies. A comparison with the Regulation SHO data indicates that the predictability is much shorter-term during 2005–2007. Short sellers appear to have shifted from trading on short-term private information to trading on long-term public information that is gradually incorporated into prices.
- DOI
- 10.1016/j.jfineco.2019.05.018
- Volume
- 135
- Issue
- 1
- Pages
- 191-212
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref